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Asset Allocation using Genetic Algorithms
(GeneHunter from Ward Systems Group)

 

Here is a sample of a genetic application which will optimize the selection of 5 Nasdaq stocks among 20 in order to best mimic the index with a reduced portfolio.

It is a Excel spreadsheet, where cross-correlations of log returns are calculated, then a genetic algorithm searches the optimal allocation according to a fitness function defined as follows:
    Maximizing correlation to the Nasdaq-100 index
    Minimizing inter-correlations in the 5-stock selection

Other fitness functions can be designed on request.  Our distribution rights do not allow us to show the VBA source code, unless you can prove you are a WSG GeneHunter registered user.  In such case, a unprotected copy will be sent to you by mail.

With most settings being hard-coded in protected VBA, the current format is unfortunately relatively inflexible.  For instance, if you want to use your own data, the index data must be in the first column, and the 20 stocks in the following ones.  The current model requires a 20-stock selection. There however should not be any limit to the number of rows.

 

Please note that the galib32.dll is necessary to run the Excel/VBA program.  This DLL is also part of the GPF, so it is not necessary to download it again.  That DLL must be placed into the Windows System32 folder.  It has been checked for viruses, but you should of course verify this again at your end.

 

 

Click here to download the spreadsheet.  To run the program, just click the button that is added to the menu upon loading.

 

 

 

June 2003

 

 

 

 

 

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Today: - Page last modified: December 08, 2007
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